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A discussion on the robust vector autoregressive models: novel evidence from safe haven assets
The vector autoregressive (VAR) model has been popularly employed in operational practice to study multivariate time series. Despite its usefulness in providing associated metrics such as the impulse response function (IRF) and forecast error variance decomposition (FEVD), the traditional VAR model...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9386210/ https://www.ncbi.nlm.nih.gov/pubmed/35996744 http://dx.doi.org/10.1007/s10479-022-04919-6 |